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Overview
The Mathematical Finance course from UCL Summer School discusses what constitutes a fair price for a contract and explains why fair prices are rarely used in everyday transactions. You will then investigate financial markets in a discrete-time setting, with some revision of basic probability theory. The concept of risk-neutral asset pricing will be discussed with reference to pricing stocks and options in the exchange.
The final part of the module introduces key concepts of stochastic calculus and focuses on continuous-time finance through the widely used Black–Scholes model.
Learning outcomes
By the end of the module, students will have:
- Described and classified financial derivative instruments, supported by knowledge of basic financial concepts.
- Explained the fundamental concept of no-arbitrage principle and illustrated with practical examples.
- Applied basic probability theory to formulate option pricing in discrete time in the context of simple financial models.
- Demonstrated familiarity with the fundamental knowledge and calculation of Stochastic analysis and the Black-Scholes formula.
- Constructed basic risk-free portfolio and developed a fundamental understanding of hedging options.
Programme Structure
Courses include:
- Value of money
- Put–call parity
- No-arbitrage principle
- Risk-neutral measure
- Contingent claims
- One-period market
- Risk-free portfolio
Key information
Duration
- Full-time
- 19 days
Start dates & application deadlines
- Starting
- Apply before
-
Language
English
Duolingo English Test 115
PTE Academic 75
IELTS 6.5
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Credits
15 alternative credits
- 15 UCL credits, 7.5 ECTS, 4 US
Delivered
On Campus
Campus Location
- London, United Kingdom
Disciplines
Financial Mathematics View 5 other Short Courses in Financial Mathematics in United KingdomWhat students do after studying
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Academic requirements
GPA Upper Second Class
English requirements
Duolingo English Test 115
PTE Academic 75
IELTS 6.5
IELTS & PTE Test Preparation
E2 Language Test Prep Trusted by 7M+ Students
Admission to your dream university starts with a high IELTS or PTE score. Earn your target score with E2's guided test preparation.
- Study on your own schedule
- Live classes with current and ex-examiners
- Accurate score assesment, always
- E2 Score Guarantee - Get your score or your money back!
Other requirements
General requirements
- IELTS (Academic) at least 6.5 overall and 6.0 in each component or equivalent
You will normally be able to demonstrate an average grade, or equivalent academic experience, of:
- 2:1 for most modules
- 2:2 for lower-level modules, if you are in or beyond second year at university.
Tuition Fees
Tuition fees are shown in and the most likely applicable fee is shown based on your nationality.
-
International Applies to you
Applies to youNon-residents2995 GBP / full≈ 2995 GBP / full -
Domestic Applies to you
Applies to youCitizens or residents2995 GBP / full≈ 2995 GBP / full
Living costs
London
United Kingdom
1137 - 2157 GBP / month
The living costs include the total expenses per month, covering accommodation, public transportation, utilities (electricity, internet), books and groceries.
Funding
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